DocumentCode
1094815
Title
Adaptive smoothing of the log-spectrum with multiple tapering
Author
Riedel, K.S.
Author_Institution
Courant Inst. of Math. Sci., New York Univ., NY
Volume
44
Issue
7
fYear
1996
fDate
7/1/1996 12:00:00 AM
Firstpage
1794
Lastpage
1800
Abstract
A hybrid estimator of the log-spectral density of a stationary time series is proposed. First, a multiple taper estimated is performed, followed by kernel smoothing the log-multiple taper estimate. This procedure reduces the expected mean square error by (π2/4) 4/5 over simply smoothing the log tapered periodogram. A data-adaptive implementation of a variable-bandwidth kernel smoother is given
Keywords
adaptive estimation; adaptive signal processing; error analysis; parameter estimation; smoothing methods; spectral analysis; time series; adaptive smoothing; data adaptive estimation; hybrid estimator; kernel smoothing; log multiple taper estimate; log spectral density; log spectrum; log tapered periodogram; mean square error reduction; multiple tapering; stationary time series; variable bandwidth kernel smoother; Bandwidth; Eigenvalues and eigenfunctions; Fourier transforms; Frequency estimation; Kernel; Matrix decomposition; Mean square error methods; Robustness; Smoothing methods; Statistics;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.510625
Filename
510625
Link To Document